39 citations · 51 across the 3 of their papers we have counts for
4 papers
Cohort effects in mortality modelling: a Bayesian state-space approach
Man Chung Fung, Gareth W. Peters, Pavel V. Shevchenko
Cohort effects are important factors in determining the evolution of human mortality for certain countries. Extensions of dynamic mortality models with cohort features have been pr…
A unified approach to mortality modelling using state-space framework: characterisation, identification, estimation and forecasting
Man Chung Fung, Gareth W. Peters, Pavel V. Shevchenko
This paper explores and develops alternative statistical representations and estimation approaches for dynamic mortality models. The framework we adopt is to reinterpret popular mo…
A State-Space Estimation of the Lee-Carter Mortality Model and Implications for Annuity Pricing
Man Chung Fung, Gareth W. Peters, Pavel V. Shevchenko
In this article we investigate a state-space representation of the Lee-Carter model which is a benchmark stochastic mortality model for forecasting age-specific death rates. Existi…
Managing Systematic Mortality Risk in Life Annuities: An Application of Longevity Derivatives
Man Chung Fung, Katja Ignatieva, Michael Sherris
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives wi…